Measuring equity risk premium and risk aversion in the US.
In our project, we estimated the time series of risk aversion using annual data for the U.S. We use the time varying parameter GARCH-M model, proposed by [Chou et al., 1992] for the estimation. The S&P 500 stock index was used as the market index; and constant maturity 10-year T-Bonds as well a...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10404 |